How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4403	6.40***
α ARCH Response to squared shocks	0.1998	9.50***
β GARCH Volatility persistence	0.7965	38.58***

γ₁	-3.9928	-1.78*
γ₂	8.6637	1.73*
γ₃	-6.4513	-1.62
γ₄	1.1967	0.99
γ₅	1.1600	3.99***
γ₆	-0.8374	-4.01***
γ₇	0.2466	1.41
γ₈	0.2402	1.05
γ₉	-0.4727	-1.27

V-Lab

Plastron Precision Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Plastron Precision Analyses